Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 25 / 2 / b / Solution

First take a bounded elementary predictable process $\alpha ={\sum }_j{K}_j{1}_{(s_j,t_j]}$, with each $K_j$ bounded and ${\mathcal{F}}_{s_j}$-measurable and with finite time support. The Itô integral is the corresponding finite sum ${\sum }_j{K}_j(W_{t_j}-W_{s_j})$. Applying part (a) term by term givesSuch elementary predictable processes are dense among predictable processes in $L^2(d\mathbb{P}du)$. The Itô isometry makes the left functional continuous, with boundThe Cauchy-Schwarz inequality makes the right functional continuous, with bound $\Vert {\varphi }^{\prime }{\Vert }_{\infty }\sqrt{T}{\left(\mathbb{E}\int {\alpha }_u^{2}du\right)}^{1/2}$. Approximation therefore proves the same identity for every allowed predictable $\alpha$. The integral over the infinite time interval is the $L^2$ limit of its finite-horizon Itô integrals.